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Add ETS model #369

Merged
merged 21 commits into from
Oct 25, 2024
Merged

Add ETS model #369

merged 21 commits into from
Oct 25, 2024

Commits on Oct 13, 2024

  1. Add ETS model

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  2. Add innovation hidden state, data is observed state

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  3. Adjust statespace to match statsmodels

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  4. Rebase from main and run new pre-commit

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  5. Add helper function to sample from statespace models

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  6. Add BayesianETS and compile_statespace to statespace.__all__

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  7. Match statsmodels implementation 

    Add direct and transformed parameterizations
    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  8. Draft example notebook

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  9. draft notebook

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  10. work on example notebook

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  11. Allow mutlivariate ETS models

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  12. Add approximate stationary initialization

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  13. Example notebook for ETS

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  14. Test for stationary initialization

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  15. Rename first seasonal state to "seasonality"

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  16. Add example of decomposition to notebook

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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  17. Use absolute imports in test_ETS

    @jessegrabowski
    jessegrabowski committed Oct 13, 2024
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Commits on Oct 20, 2024

  1. Apply requested changes

    @jessegrabowski
    jessegrabowski committed Oct 20, 2024
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  2. Re-run example notebook

    @jessegrabowski
    jessegrabowski committed Oct 20, 2024
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  3. Remove special logic for solve_discrete_lyapunov

    @jessegrabowski
    jessegrabowski committed Oct 20, 2024
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  4. Simplify docstring

    @jessegrabowski
    jessegrabowski committed Oct 20, 2024
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